Because light travels more slowly through glass and most other media than it does through air, light leaving air and passing though glass is bent. You have probably observed this bending phenomenon when looking at objects in water whose position and appearance seem distorted. To prevent this distortion from occurring between the sample and the objective lens, we fill the space between with immersion oil which has the same optical properties as glass. Without immersion oil, objects seen under the 100X lens will appear fuzzy even at the best possible focus.